Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1986 |
| Annualized Std Dev | 0.4169 |
| Annualized Sharpe (Rf=0%) | 0.4765 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3260.0000 |
| NAs | 1.0000 |
| Minimum | -0.1799 |
| Quartile 1 | -0.0103 |
| Median | 0.0023 |
| Arithmetic Mean | 0.0011 |
| Geometric Mean | 0.0007 |
| Quartile 3 | 0.0137 |
| Maximum | 0.2166 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0020 |
| Variance | 0.0007 |
| Stdev | 0.0263 |
| Skewness | -0.1886 |
| Kurtosis | 6.9068 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0191 |
| Gain Deviation | 0.0181 |
| Loss Deviation | 0.0206 |
| Downside Deviation (MAR=210%) | 0.0229 |
| Downside Deviation (Rf=0%) | 0.0186 |
| Downside Deviation (0%) | 0.0186 |
| Maximum Drawdown | 0.8330 |
| Historical VaR (95%) | -0.0417 |
| Historical ES (95%) | -0.0638 |
| Modified VaR (95%) | -0.0399 |
| Modified ES (95%) | -0.0688 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2012-09-06 | -0.8330 | 1249 | 400 | 849 |
| 2020-02-20 | 2020-03-18 | 2020-08-04 | -0.5940 | 116 | 20 | 96 |
| 2018-09-28 | 2018-12-24 | 2019-04-23 | -0.3841 | 138 | 57 | 81 |
| 2015-08-05 | 2016-02-09 | 2016-12-07 | -0.3037 | 265 | 121 | 144 |
| 2018-01-29 | 2018-04-02 | 2018-07-13 | -0.2188 | 100 | 43 | 57 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.4 | -1.5 | -1.6 | 3 | 0.6 | -0.4 | 3.3 | 1.2 | -5.2 | 3.4 | 0.1 | 2.9 |
| 2008 | 3.6 | -8.6 | 6.5 | 4.4 | 0.1 | -0.5 | 1.2 | -1.8 | 1.3 | 11 | -14.3 | 3.8 | 4.4 |
| 2009 | -5.4 | 0.7 | 2.8 | -2.2 | 7.2 | 1 | -0.8 | -2.5 | -3.3 | -4.7 | 2.4 | -1.8 | -7 |
| 2010 | 2.4 | 2.9 | 1 | -3.1 | -3 | 0.9 | 1.6 | 6.2 | 0.4 | -0.9 | 3.1 | -0.3 | 11.4 |
| 2011 | 3.1 | -3 | 1.4 | 0.3 | -3.6 | 3.8 | -1.3 | -1.5 | -1.6 | -3.8 | -0.1 | -0.7 | -7.1 |
| 2012 | 2.5 | 1 | 2 | 2.3 | -3.4 | 5.3 | -1.4 | 0.5 | 1.9 | 1.9 | 0.7 | 2.3 | 16.5 |
| 2013 | 1.2 | 0.5 | -0.8 | -0.1 | -2.1 | 0.7 | 1.7 | 0.2 | 1.6 | 0.2 | 0.5 | 1.2 | 4.8 |
| 2014 | -1.8 | 0.1 | 2.3 | 1 | 0.5 | 2.5 | -0.6 | -0.8 | -3.3 | 2.3 | -2.5 | -1 | -1.5 |
| 2015 | 0.1 | -1.4 | -1.6 | 3.4 | 0 | 1.5 | 1.2 | -5.2 | 0 | 0.1 | 1.2 | -1.6 | -2.5 |
| 2016 | 0.4 | 0.9 | 1.8 | -1.9 | 0.5 | 2.7 | 0.2 | 0 | 0.3 | 0.8 | -1.9 | -2.5 | 1.1 |
| 2017 | 1.5 | 0.9 | 0.1 | 1.3 | 3.6 | 1.7 | 0.3 | 1.1 | -0.3 | 0.4 | 0.5 | -0.4 | 11.2 |
| 2018 | -2.1 | -3.4 | -5 | -2.3 | 1.3 | 0 | -1 | 0.9 | -0.4 | 2.8 | -0.7 | 1.6 | -8.3 |
| 2019 | -2.4 | 1.1 | 2.3 | -1.5 | -2.3 | 1.3 | -2 | -0.6 | -1.3 | 1.2 | -1.1 | 0.2 | -5 |
| 2020 | 0.4 | -4.7 | -7.1 | -7.3 | 2.9 | 3.7 | 0.9 | 2.3 | 2.6 | -6.1 | 2.4 | 0 | -10.5 |
| 2021 | 3.2 | 3.2 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 8.97 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 6.00e-3 0.0181
2 2007-02-05 8.97 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 5.00e-4 0.0085
3 2007-02-08 9.04 SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 1.38e-2 0.0046
4 2007-02-09 8.88 SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 9.20e-3 0.0286
5 2007-02-14 8.95 SPY 146. 6.60e-3 0.0028 0.0185 0.0533 0.152 0.259 0.311 GLD 66.4 8.00e-3 0.0269
6 2007-02-15 9.02 SPY 146. 1.30e-3 0.0054 0.0194 0.0521 0.141 0.266 0.299 GLD 66.4 6.00e-4 0.0136
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
